Market Update: 24 Aug 2021

Chart 1
Chart 2
Chart 3
  1. No signs of stress in vols. We continued to see significant call buying in the past week (Chart 3). However, the vol market has absorbed this surprisingly well with implied vol continuing its decline, especially in the long-end of the curve (Chart 4).
    We, along with other vol market makers, have been happy to sell decent amounts of vega into this rally. The calmness in vols is not consistent with crazy breakout behaviour.
Chart 4
Chart 5
Chart 6

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